Bootstrapping the conditional moment test for parametric duration models

James Prieger ()

Applied Economics Letters, 2003, vol. 10, issue 10, 597-600

Abstract: The performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data is evaluated. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve.

Date: 2003
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Working Paper: Bootstrapping the Conditional Moment Test for Parametric Duration Models (2003)
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DOI: 10.1080/1350485032000136379

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